Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0578 |
| Annualized Std Dev | 0.3245 |
| Annualized Sharpe (Rf=0%) | -0.1781 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3727.0000 |
| NAs | 1.0000 |
| Minimum | -0.2692 |
| Quartile 1 | -0.0063 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0070 |
| Maximum | 0.3318 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0004 |
| Stdev | 0.0204 |
| Skewness | 0.2108 |
| Kurtosis | 48.2200 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0147 |
| Gain Deviation | 0.0165 |
| Loss Deviation | 0.0179 |
| Downside Deviation (MAR=210%) | 0.0188 |
| Downside Deviation (Rf=0%) | 0.0147 |
| Downside Deviation (0%) | 0.0147 |
| Maximum Drawdown | 0.8529 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0485 |
| Modified VaR (95%) | -0.0125 |
| Modified ES (95%) | -0.0125 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2009-03-09 | NA | -0.8529 | 3492 | 463 | NA |
| 2007-02-12 | 2007-03-05 | 2007-04-16 | -0.2078 | 44 | 15 | 29 |
| 2006-06-06 | 2006-07-24 | 2006-10-03 | -0.1777 | 84 | 34 | 50 |
| 2007-01-04 | 2007-01-10 | 2007-01-25 | -0.0598 | 15 | 5 | 10 |
| 2006-10-04 | 2006-10-11 | 2006-10-27 | -0.0452 | 18 | 6 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | -0.1 | -0.3 | 1.7 | 1.1 | -0.4 | -1.1 | 0.4 | 0.1 | 1.5 |
| 2007 | 3.6 | -3.4 | -0.7 | -1.7 | 1.9 | -0.2 | -1.4 | 3 | 0.5 | -1.2 | 1.9 | -0.5 | 1.7 |
| 2008 | 4 | -0.6 | 6.8 | 0.4 | 0.7 | -0.1 | -0.5 | 3 | 2.8 | 9.1 | -3.3 | 1.9 | 26.3 |
| 2009 | -1.6 | -1.3 | -0.7 | -0.8 | 5.2 | -0.2 | -0.3 | -2.7 | 0.3 | -0.4 | 2.7 | 0.5 | 0.5 |
| 2010 | 1.3 | 2.2 | 0.8 | 0.5 | 0.2 | 0 | 0.4 | 1.5 | 0.2 | 0.2 | 1.4 | 2.1 | 11.3 |
| 2011 | 0.8 | -0.3 | 0.2 | -0.7 | 0 | 1.2 | -0.3 | -0.3 | -4 | -3.3 | -0.5 | -0.2 | -7.3 |
| 2012 | -0.1 | 0.1 | 3 | 0.9 | -2.3 | 2.3 | -0.3 | -0.1 | -0.7 | 0.9 | 0.7 | 0.5 | 5 |
| 2013 | 0.5 | 0 | -0.6 | -0.1 | -1.6 | -0.4 | -0.7 | 0.4 | 2.1 | -1.4 | -0.2 | -0.1 | -2.1 |
| 2014 | 0.7 | 1.3 | 0.8 | 0.6 | 0.6 | 0.3 | -0.8 | 0.8 | -0.1 | 0.4 | -0.9 | -1.2 | 2.5 |
| 2015 | -1.3 | 1 | 0.4 | 0.6 | 1.2 | 1.6 | 1 | -1.3 | -0.1 | 0 | 1.5 | 1.1 | 5.6 |
| 2016 | 0.6 | 2.2 | 0.2 | -0.2 | 0.4 | 0.5 | 0 | -0.1 | 0 | -2.3 | -1.7 | 0.9 | 0.5 |
| 2017 | -0.6 | 0 | 1.7 | 0.7 | 0 | 0.2 | 0.5 | 1.6 | 0.2 | 0.2 | -0.2 | 0.9 | 5.3 |
| 2018 | -1.4 | -0.3 | 2.2 | 0.8 | 0.6 | 0.5 | -0.1 | 0.4 | -0.4 | 1.1 | 0.3 | -0.8 | 3.1 |
| 2019 | -0.9 | -1.2 | 0.3 | -0.3 | -1.1 | -0.1 | 0.3 | -0.3 | -0.8 | 0.7 | -0.1 | 1.1 | -2.4 |
| 2020 | -1.7 | -8.3 | -10.6 | -5.6 | 3 | 3.9 | -0.9 | 0 | 0.8 | -2.8 | 2.8 | 0.4 | -18.5 |
| 2021 | -0.2 | 0.4 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-05-26 30.0 SPY 128. 0.0051 0.0101 -0.0202 -0.0083 0.0694 0.342 -2.48e-2 GLD 65.1 0.0062 -0.0073
2 2006-05-30 30.0 SPY 126. -0.0178 -0.0002 -0.0408 -0.0166 0.0486 0.322 -4.09e-2 GLD 65.1 0.0002 -0.00290
3 2006-05-31 30.1 SPY 128. 0.0112 0.0187 -0.0222 -0.0144 0.0672 0.315 -1.35e-2 GLD 64.2 -0.0135 -0.0324
4 2006-06-01 30.0 SPY 129. 0.00960 0.0203 -0.0202 -0.0049 0.0683 0.322 -6.90e-3 GLD 62.6 -0.026 -0.0234
5 2006-06-02 30.0 SPY 129 0.0021 0.0099 -0.0144 0.0019 0.0682 0.320 7.00e-3 GLD 63.5 0.015 -0.0185
6 2006-06-05 30.2 SPY 127. -0.0146 -0.0098 -0.0323 -0.0082 0.058 0.282 3.00e-4 GLD 63.3 -0.0033 -0.0278
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
